気温及び日照時間デリバティブを利用した天候リスクマネジメント：日本の農業法人における事例研究

抄録

This paper examines the impact of weather derivatives on the value of an agricultural corporation in Japan. The paper uses a case of Hob, a listed Japanese agricultural corporation focusing on strawberry. The paper finds out the impacts of adverse weather conditions, temperature and hours of sunshine, on Hob's enterprise value are significant. The paper employs Wang Transforms for the valuation analysis in order to address the incompleteness of the weather derivatives markets and incorporate the managers' risk averseness. Weather derivatives contribute to the firm value significantly as long as the safety loading of weather derivatives is lower than or equal to 0.2 and managers of Hob are moderately risk averse (λ in Wang Transforms is 0.4 or higher). However, if the safety loading is higher than or equal to 0.6 implied by weather derivatives sold by Japanese insurance companies, the weather derivatives are not demanded by the managers even if they are extremely risk averse (λ is 1.0).